共 45 条
[1]
Andersen L.(1998)The equity option volatility smile: an implicit finite difference approach J. Comput. Finance 1 5-38
[2]
Brotherton-Ratcliffe R.(1994)Implied binomial tree J. Finance 49 771-818
[3]
Rubinstein M.(1996)Implied trinominal trees of the volatility smile J. Deriv. 3 7-22
[4]
Derman E.(1998)Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility Int. J. Theor. Appl. Finance 1 61-100
[5]
Kani I.(2000)Option prices, implied prices processes, and stochastic volatility J. Finance 55 839-866
[6]
Chriss N.(1996)Recovering probability distributions from contemporary security prices J. Finance 51 1611-1631
[7]
Derman E.(2004)No-arbitrage interpolation of the option price function and its reformulation J. Optim. Theory Appl. 120 627-649
[8]
Kani I.(2003)Nonparametric option pricing under shape restrictions J. Econom. 116 9-47
[9]
Britten-Jones M.(2003)Estimation of risk-neutral densities using positive convolution approximation J. Econom. 116 85-112
[10]
Neuberger A.(1973)The pricing of options and corporate liabilities J. Polit. Econ. 81 637-659